A novel hybrid heuristic algorithm for a new uncertain mean-variance-skewness portfolio selection model with real constraints

• Published in: Applied intelligence (Dordrecht, Netherlands) Vol. 48; no. 9; pp. 2996 - 3018
• Main Authors: Chen, Wei, Wang, Yun, Gupta, Pankaj, Mehlawat, Mukesh Kumar
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.09.2018; Springer Nature B.V
• Subjects: Algorithms; Artificial Intelligence; Computer Science; Constraint modelling; Cybersecurity; Economic models; Genetic algorithms; Heuristic methods; Integer programming; Machines; Manufacturing; Mechanical Engineering; Portfolio management; Processes; Skewness; Variance; Minimum transaction lots; Portfolio selection; Uncertain variable; Uncertainty modeling; FA-GA algorithm
• ISSN: 0924-669X; 1573-7497
• DOI: 10.1007/s10489-017-1124-8

This paper discusses a portfolio selection problem under the mean-variance-skewness framework wherein the security returns are obtained through evaluation of the experts instead of historical data. By treating security returns as the uncertain variables, an uncertain mean-variance-skewness model is...